Marianne Frisen "Financial Surveillance (Statistics in Practice)"
Wiley | 2008-02-25 | ISBN: 047006188X | 272 pages | PDF | 4 MB
Statistical surveillance is used to repeatedly evaluate the amount of information contained within a system of continuously achieved observations. This makes it possible to quickly and safely detect changes in the way time series evolve through time. Applied to economic and financial markets, this allow the optimal time for decisions to be determined, such as the most beneficial trading time.
Financial Surveillance examines the relationship between Statistical surveillance and financial analysis. Introducing both cultures, the book provides an overview of Statistical methods used in finance. the reader is then guided through more advanced topics, from likelihood-based surveillance of volatility, to sequential monitoring of optimal portfolio weights.
Comprehensively covers the use of Statistical surveillance in financial analysis, enabling readers to successfully adjust to changes in financial market trends.
Examines financial trading rules for timely decisions.
Details schemes for different univariate and multivariate control charts.
Provides information on different linear and nonlinear time series models, such as GARCH processes, and their applications, including modelling asset returns and exchange rates.
Discusses the modern use of electronic trading in financial markets and data collection, as well as future directions for the subject.
Applies methods to real data from worldwide markets, as well as illustrative simulation studies.
Is accompanied by a website with additional updated information.
This is the first book-length treatment ofstatistical surveillance methods used in financial analysis. It contains selected chapters written by specialists on different topics. Financial Surveillance is ideal for readers from either Statistics or finance wanting to learn more about the other discipline. It also makes essential reading for advanced level students in statistics, economics and finance.
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